You invest $2,000 in a risky asset with an expected rate of return of 0

Accounting Nov 15, 2021

You invest $2,000 in a risky asset with an expected rate of return

of 0.13 (and a standard deviation of 0.20) and a T-bill with a rate of return of 0.03.

Knowing that the coefficient of risk aversion equals 5, to form a portfolio, what optimal percentages of your money must be invested in the risky asset and the risk-free asset, respectively?

choose correct option:
1.) 85% and 15%
2.) 50% and 50%
3.) 75% and 25%
4.) 57% and 43%
5.) Cannot be determined.